Applications of generalized likelihood ratio method to distribution sensitivities and steady-state simulation

DOI10.1007/s10626-017-0247-8zbMath1384.93145OpenAlexW2615245331MaRDI QIDQ1745943

Xianqiang Yang

Publication date: 18 April 2018

Published in: Discrete Event Dynamic Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10626-017-0247-8

zbMATH Keywords

simulationperturbation analysisdistribution sensitivitygeneralized likelihood ratio methodsteady-state processesstochastic derivative estimation

Mathematics Subject Classification ID

Stochastic programming (90C15) Estimation and detection in stochastic control theory (93E10)

Related Items (6)

A Stochastic Approximation Method for Simulation-Based Quantile Optimization ⋮ Computing Sensitivities for Distortion Risk Measures ⋮ Monte Carlo and Quasi–Monte Carlo Density Estimation via Conditioning ⋮ Density Estimation by Monte Carlo and Quasi-Monte Carlo ⋮ Maximum Likelihood Estimation by Monte Carlo Simulation: Toward Data-Driven Stochastic Modeling ⋮ Efficient Sampling Allocation Procedures for Optimal Quantile Selection

Uses Software

• UMDES

Cites Work

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